Optimal Stopping Problems for Asset Management

An asset manager invests the savings of some investors in a portfolio of defaultable bonds. The manager pays the investors coupons at a constant rate and receives a management fee proportional to the value of the portfolio. He/she also has the right to walk out of the contract at any time with the net terminal value of the portfolio after payment of the investors' initial funds, and is not responsible for any deficit. To control the principal losses, investors may buy from the manager a limited protection which terminates the agreement as soon as the value of the portfolio drops below a predetermined threshold. We assume that the value of the portfolio is a jump diffusion process and find an optimal termination rule of the manager with and without protection. We also derive the indifference price of a limited protection. We illustrate the solution method on a numerical example. The motivation comes from the collateralized debt obligations.

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Penggusuran Pedagang Kaki Lima Sebagai Perbuatan Melanggar Hukum

JUSTITIA JURNAL HUKUM ◽

10.30651/justitia.v1i1.600 ◽

2017 ◽

Vol 1 (1) ◽

Author(s):

Akmal Adicahya

Keyword(s):

Land Rights ◽

Collateralized Debt Obligations ◽

Power Of Attorney ◽

Charging Time ◽

Promise Land ◽

Collateralized Debt ◽

Credit Agreement ◽

The Right ◽

Ownership Rights

Mortgage abolishment because the expiration of the Right of Exploitation (HGU) , Right of Building (HGB), and Right of Use burdened not cause the abolishment of collateralized debt obligations. Duration HGU, HGB and wear rights expire, then the mortgage that is charged against the land becomes clear. This additional agreement means clear. Instead principal agreement (credit agreement) is not necessarily to be clear, and move on. In this case resulted in the creditors are in a weak position because of unpaid debts, Mortgage over land as collateral to remove. This study discusses the normative legal efforts to do the lender to avoid the possible risk of the abolishment of land rights based on Law Number 42 Year 1996, which includes the manufacture of promise land extend rights in the imposition of mortgage deed, power of attorney making mortgage charging time HGB changes become ownership rights residential, Object insurance burden for advantage mortgage holder mortgage, debitor to request additional collateral

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A Viscosity Solution Method for Optimal Stopping Problems with Regime Switching

Acta Applicandae Mathematicae ◽

10.1007/s10440-020-00353-7 ◽

2020 ◽

Vol 170 (1) ◽

pp. 677-689

Author(s):

Yong-Chao Zhang ◽

Na Zhang

Keyword(s):

Viscosity Solution ◽

Optimal Stopping ◽

Regime Switching ◽

Solution Method ◽

Optimal Stopping Problems

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On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes

Journal of Applied Probability ◽

10.1239/jap/1339878803 ◽

2012 ◽

Vol 49 (2) ◽

pp. 531-548 ◽

Cited By ~ 4

Author(s):

Yuan-Chung Sheu ◽

Ming-Yao Tsai

Keyword(s):

Explicit Formula ◽

Optimal Stopping ◽

Diffusion Processes ◽

Jump Diffusion ◽

Optimal Level ◽

Matrix Exponential ◽

Call Type ◽

Jump Diffusion Processes ◽

Averaging Problem ◽

Optimal Stopping Problems

In this paper we consider optimal stopping problems for a general class of reward functions under matrix-exponential jump-diffusion processes. Given an American call-type reward function in this class, following the averaging problem approach (see, for example, Alili and Kyprianou (2005), Kyprianou and Surya (2005), Novikov and Shiryaev (2007), and Surya (2007)), we give an explicit formula for solutions of the corresponding averaging problem. Based on this explicit formula, we obtain the optimal level and the value function for American call-type optimal stopping problems.

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Structural jump-diffusion model for pricing collateralized debt obligations tranches

Applied Mathematics-A Journal of Chinese Universities ◽

10.1007/s11766-010-2196-y ◽

2010 ◽

Vol 25 (4) ◽

pp. 420-428

Author(s):

Rui-cheng Yang

Keyword(s):

Diffusion Model ◽

Jump Diffusion ◽

Collateralized Debt Obligations ◽

Jump Diffusion Model ◽

Collateralized Debt

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On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes

Journal of Applied Probability ◽

10.1017/s0021900200009256 ◽

2012 ◽

Vol 49 (02) ◽

pp. 531-548

Author(s):

Yuan-Chung Sheu ◽

Ming-Yao Tsai

Keyword(s):

Explicit Formula ◽

Optimal Stopping ◽

Diffusion Processes ◽

Jump Diffusion ◽

Optimal Level ◽

Matrix Exponential ◽

Call Type ◽

Jump Diffusion Processes ◽

Averaging Problem ◽

Optimal Stopping Problems

In this paper we consider optimal stopping problems for a general class of reward functions under matrix-exponential jump-diffusion processes. Given an American call-type reward function in this class, following the averaging problem approach (see, for example, Alili and Kyprianou (2005), Kyprianou and Surya (2005), Novikov and Shiryaev (2007), and Surya (2007)), we give an explicit formula for solutions of the corresponding averaging problem. Based on this explicit formula, we obtain the optimal level and the value function for American call-type optimal stopping problems.

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Stochastic mesh method for optimal stopping problems

Monte Carlo Methods and Applications ◽

10.1515/mcma-2017-0107 ◽

2017 ◽

Vol 23 (2) ◽

Author(s):

Yuri Kashtanov

Keyword(s):

Monte Carlo ◽

Monte Carlo Method ◽

Optimal Stopping ◽

Jump Diffusion ◽

Optimal Stopping Problem ◽

Mesh Method ◽

Consistent Estimators ◽

Optimal Stopping Problems

AbstractA Monte Carlo method for solving the multi-dimensional optimal stopping problem is considered. Consistent estimators for a general jump-diffusion are pointed out. It is shown that the variance of estimators is inverse proportional to the number of points in each layer of the mesh.

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